You cannot connect pic directly to the PC Rs232 port! You will need a maxim 232 as an interface.

Read the manual where you will find some example of Tx and Rx.

When You have setup your hardware, than remember you will send bytes via RS232 so your pic will need to decode the bytes sent via hyperterminal and act upon it. For instance I can set all 8 ports B to ON sending via RS232 "255" or set them all to OFF sending a "0".

Hope it will help you